I asked the same thing last July. The subject was: "Small caps with Minion Pro".
It looks like different opentype fonts respond differently, when you choose "All small caps" in Mellel.
Try the free font Cardo: you will see the difference results that the same Mellel command. Last July Ori answered my post with these words:
It seems to be a common feature to all Adobe OpenType fonts and I cannot determine whether Adobe is super-lazy here or if the creator of Cardo is super smart....
If you work with a font that behaves like Cardo you can easily obtain the result that you desire. I am not suggesting that you use it instead of MinionPro: MinionPro is more beautiful, and it has italics, that I sorely miss in Cardo. Rather, I suggest that you should compare the different behaviour of the two fonts. I found that very informative.
The only way I could find to obtain the same result with MinionPro is to assign the "Base" style variation (that is, F1) to the first letter, the one that you want to show in Capitals.
However, the Find/Replace is now so good, that you can manipulate the text so that it shows properly even with MinionPro.
The process is:
1. Open Find/Replace
2. In the "find" box choose: Insert element / Custom / A to Z
3. Apply to "find" the character style variation for "all small caps"
4. be sure that the box for "ignore case" is unchecked
5. In the "replace" box choose Insert element / Backreference
6. Apply to "replace" the character style variation for "Base" (usually F1)
7. Proceed to replace. I suggest that you use "repalce and find", so that you can check that the substituion works according to your need.
I hope this helps.
Marco